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The stability of financial markets benefits billions of people. In order to respond to the challenge of maintaining healthy and stable markets, today’s systems engineers must possess quantitative and business know-how to understand and manage the complexity of financial instruments and inter-bank dynamics.

Systems engineers master the core skills of modelling economic and human behaviours, and provide insights regarding how to reach economic, social and individual investors’ objectives.

Financial engineering covers modelling, analysis, implementation of financial decision making and risk management. More than just theories, systems engineers develop practical tools with a combination of multiple disciplines including statistics, probability, optimization and stochastic analysis. Related research topics include pricing and hedging, systematic risk management, stochastic volatility models, and portfolio choice.

First-Loss Capital

First-Loss Capital X. He In most U.S. hedge funds, the managers take a performance fee, such as 20%, for any profit they generate for the investors but do not pay in case of a loss. In China private equities and also in some new hedge funds...

High Frequency Trading

N. Chen High frequency trading (HFT) is to use computers to process market information and make elaborate decisions to "initiate buy/sell orders. As of July 2009, HFT firms account for 73% of all US equity trading volumes." We study how to develop...

Limit order books

X.F. Gao As a trading mechanism, limit order books have gained growing popularity in equity and derivative markets in the past two decades. The objective of this project is to understand deeper on different time scales, how the price is...

Mining Streams of Financial Data and News

J. Yu Financial market trends prediction is a technique to forecast market trend changes, which assists financial market participants to spot arbitrage opportunities for investment. Currently, most existing reported data mining studies for trend...

Modeling Time Dependency in Financial Engineering

L.F.Li A fundamental task in financial engineering is to develop empirically realistic as well as tractable derivative models. For tractability reasons many standard models are assumed to have time-homogeneous local characteristics (i.e....

Realization Utility

X. He Individual investors derive realization utility: every time they buy a stock, an investment account is created in their mind and will be closed when the stock is sold. They feel good with a realized gain and bad with a realized loss. In this...

Spectral Methods for Optimal Decision and First Passage Problems

L.F. Li We develop a new method based on spectral analysis to solve optimal decision problems including optimal stopping, optimal switching and stochastic games, and first passage problems for a rich class of Markov diffusions, jump-diffusions...
Department of Systems Engineering and Engineering Management, CUHK